|
ScenarioSM Study for December Eurodollars(CME) as of Jun 23, 2023 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 40 | 40 | 41 | 41 | 41 | 41 | 41 | 41 | 41 | 41 | 41 | |
Closed Higher | 26 | 21 | 17 | 24 | 23 | 26 | 26 | 29 | 27 | 27 | 18 | |
Exceeded High | 18 | 20 | 12 | 20 | 17 | 21 | 25 | 26 | 25 | 16 | 9 | |
Scenario Percentage | 69% | 95% | 71% | 83% | 74% | 81% | 96% | 90% | 93% | 59% | 50% | |
Avg Max Increase | 0.44% | 0.38% | 0.50% | 0.56% | 0.52% | 0.57% | 0.48% | 0.63% | 0.40% | 0.32% | 0.26% | |
Max Increase | 1.14% | 1.55% | 2.37% | 2.50% | 1.43% | 2.29% | 2.72% | 4.42% | 2.88% | 1.56% | 0.74% | |
Avg Days To Max Increase | 14 | 18 | 18 | 14 | 18 | 16 | 16 | 16 | 13 | 12 | 10 | |
Avg Max Decline | -0.13% | -0.25% | -0.13% | -0.07% | -0.12% | -0.08% | -0.08% | -0.14% | -0.09% | -0.09% | -0.01% | |
Max Decline | -0.39% | -0.96% | -0.40% | -0.47% | -0.60% | -0.39% | -0.34% | -0.81% | -0.45% | -0.60% | -0.11% | |
Avg Days to Max Decline | 7 | 12 | 7 | 5 | 4 | 9 | 8 | 7 | 6 | 9 | 2 | |
2022 Contract Condition | Yes | Yes | Yes | |||||||||
Action | No | No | Yes |
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